Brontotheres = Perfect pet if you need a rhino with a slingshot on it's face.
Brontotheres lived in ancient Wyoming, Dakotas, and Nebraska to give you an idea of where this critter liked to hang around. It would make the perfect pet if you needed a friend with a slingshot in the middle of it's face.
These guys grew a lot larger than any rhino walking around today, and they were likely just as stompy, so it probably wandered anywhere it wanted to. Until the end of the Eocene*.
*Give or take, the last ones died out about 34 million years ago.